MoneyScience News

Blog Post: TheFinancialServicesClub: Things worth reading: 29th October 2013
Blog Post: TheAlephBlog: The Rules, Part LVII
Published / Preprint: Stock returns versus trading volume: is the correspondence more general?. (arXiv:1310.7018v1 [q-fin.ST])
Published / Preprint: Restructuring the "one-way CSA" counterparty risk in a CDO. (arXiv:1310.7128v1 [q-fin.RM])
Published / Preprint: The stochastic field of aggregate utilities and its saddle conjugate. (arXiv:1310.7280v1 [q-fin.GN])
Blog Post: emotionalfinance: Investment, Emotions and the Temple at Delphi*
Published / Preprint: Guest Editorial
Published / Preprint: Actuarial Fairness When Longevity Increases: An Evaluation of the Italian Pension System
Published / Preprint: Intergenerational Transfers and the Stability of the Swiss Retirement System
Published / Preprint: Financial Flexibility and Tax Incentives: Evidence from Defined Benefit Corporate Pension Plans in Japan
Published / Preprint: What Determines Annuity Demand at Retirement?
Published / Preprint: Implications of Full and Partial Retirement for Replacement Rates in a Defined Benefit System
Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/aFBHC0Xm
Call for Papers: WEHIA 2013, 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents http://t.co/wjKm46Bh

Blog Post: TheFinancialServicesClub: Things worth reading: 29th October 2013

Posted: 29 Oct 2013 12:38 AM PDT

Things we're reading today include ... read more...

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Blog Post: TheAlephBlog: The Rules, Part LVII

Posted: 28 Oct 2013 10:38 PM PDT

The more that markets are united through derivatives, the more systemic risk is created.read more...

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Published / Preprint: Stock returns versus trading volume: is the correspondence more general?. (arXiv:1310.7018v1 [q-fin.ST])

Posted: 28 Oct 2013 05:38 PM PDT

This paper presents a quantitative analysis of the relationship between the stock market returns and corresponding trading volumes using high- frequency data from the Polish stock market. First, for stocks that were traded for suffciently long period of time, we study the return and volume distributions and identify their consistency with the power-law functions. We find that, for majority of...

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Published / Preprint: Restructuring the "one-way CSA" counterparty risk in a CDO. (arXiv:1310.7128v1 [q-fin.RM])

Posted: 28 Oct 2013 05:38 PM PDT

We show how to restructure the counterparty risk faced by the originator of a securitization or covered bond arising from an interest rate hedging swap assisted by a "one-way" collateral agreement. This risk emerges when the swap is negotiated between the special purpose vehicle and a third party that covers itself through a back-to-back swap with the originator. We show that the counterparty...

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Published / Preprint: The stochastic field of aggregate utilities and its saddle conjugate. (arXiv:1310.7280v1 [q-fin.GN])

Posted: 28 Oct 2013 05:38 PM PDT

We describe the sample paths of the stochastic field $F = F_t(v,x,q)$ of aggregate utilities parameterized by Pareto weights $v$ and total cash amounts $x$ and stocks' quantities $q$ in an economy. We also describe the sample paths of the stochastic field $G = G_t(u,y,q)$, which is conjugate to $F$ with respect to the saddle arguments $(v,x)$, and obtain various conjugacy relations between these...

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